Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The Quantica Managed Futures is a systematic medium-term trend-following investment strategy trading liquid futures and FX forward markets within equities, commodities, currencies, fixed income and interest rates. The investment strategy trades more than 60 instruments with liquid exposure to global markets and is based on proprietary quantitative models that statistically identify trends in market price movements. The strategy uses sophisticated dynamic risk management techniques and focuses on liquid instruments.

Performance Statistics

Date Range: 12/04 - 04/19

Program

S&P 500

Altegris 40

Total Return

183.66%

238.73%

45.88%

Annualized Return

7.55%

8.83%

2.65%

Annualized Std. Deviation

10.43%

13.78%

8.81%

Correlation

0.16

0.72

Sharpe Ratio (rf=2.5%)

0.48

0.46

0.02

Worst Month

-8.90%

-16.79%

-6.10%

Date of Worst Month

08/2015

10/2008

02/2018

Worst Drawdown

-18.26%

-50.95%

-15.74%

Date of Worst Drawdown

3/15 - 12/15

10/07 - 2/09

4/11 - 9/13

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 12/04 - 04/19

Year or YTD

Program

S&P 500

Altegris 40

2019

13.19

18.24

5.17

2018

-3.59

-4.38

-4.29

2017

10.88

21.84

1.24

2016

7.72

11.98

-3.13

2015

-15.41

1.41

0.09

2014

14.44

13.69

15.75

2013

10.49

32.41

-2.45

2012

-4.23

15.98

-4.75

2011

9.03

2.12

-3.23

2010

8.64

15.06

11.33

2009

1.15

26.45

-7.98

2008

18.81

-36.99

15.47

2007

5.79

5.50

7.18

2006

11.34

15.79

6.70

2005

26.71

4.89

4.51

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 12/04 - 04/19

Note: All performance data is since program inception.

Monthly Returns

Date Range: 12/04 - 04/19

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 12/04 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Date Range: 12/04 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:

Quantica Capital AG

Address:

Freier Platz 10

City:

Schaffhausen

State:

Zip:

CH- 8200

Country:

Switzerland

Key People

Name:

Dr. Bruno Gmuer

Position:

Chief Executive Officer

Biography:

Dr. Bruno Gmür is a founding partner and CEO/CIO of Quantica Capital AG. Previously, he held positions at Swiss Re in financial reinsurance structuring and at Bank Julius Baer, where he was head of the quantitative team in the chief investment office and a voting member of the bank’s strategic asset allocation committee. Before that, he was teaching graduate courses in game theory and financial economics at the University of Zurich.
Bruno holds a Ph.D. in financial economics from the University of Zurich (Dr. oec. publ., "summa cum laude") and a master degree in mathematics from the Swiss Federal Institute of Technology (ETH Zurich). He is a qualified actuary and full member of the Swiss Association of Actuaries.

Name:

Thomas Looser

Position:

Portfolio Manager

Biography:

Thomas Looser is Chief Operating Officer at Quantica Capital AG. He was previously a senior quantitative analyst at Bank Vontobel, engineering investment products mainly for institutional clients and co-heading the product engineering and analysis department. Before that, he held various positions within Swiss Re, including working as a quantitative analyst at Swiss Re Alternative Investments, as an asset-liability management analyst at Conning Asset Management in the U.S. and as a risk manager at Swiss Re Investors. He started his career in the actuarial department of Swiss Re Life & Health.
Thomas holds a master’s degree in mathematics from the Swiss Federal Institute of Technology (ETH Zurich) and is a CAIA charterholder.

Name:

Patrick J. Aregger

Position:

Chief Executive Officer

Biography:

Patrick J. Aregger is Chief Executive Officer at Quantica Capital. He was previously with a Zurich based family office, where as CEO and Partner he managed to successfully build-up and further develop the company’s business both in Germany and Switzerland. Prior to that Patrick was Partner and Head of Distribution at Horizon21. This was after Noble Investments Switzerland, a company co-founded by Patrick and specialized in structuring and distributing hedge funds products, was acquired by the group. Patrick had started his career in financial services in 1999 with Man Investment Products as a Global Business Development Manager after having spent close to a decade as physical commodities trader mostly in Asia.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent
upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill,
and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable
in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you
for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed
Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial
trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade
highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or
liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.